How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5602	0.03
α ARCH Response to squared shocks	0.2751	0.00
β GARCH Volatility persistence	0.7249	0.01

γ₁	1.1226	0.00
γ₂	0.1078	0.00
γ₃	-13.1895	-0.01
γ₄	25.0096	0.02
γ₅	-13.5102	-0.01
γ₆	-3.1635	0.00
γ₇	5.9764	0.00
γ₈	-4.1389	-0.05
γ₉	1.9527	0.03
γ₁₀	-0.6215	-0.02

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Aarey Drugs & Pharma Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aarey Drugs & Pharma Ltd Analyses